|
|
|
|
| LEADER |
00000cam a2200000M 4500 |
| 001 |
JSTOR_on1192490090 |
| 003 |
OCoLC |
| 005 |
20231005004200.0 |
| 006 |
m d |
| 007 |
cr ||||||||||| |
| 008 |
200904s2015 xx o ||| 0 eng d |
| 040 |
|
|
|a YDX
|b eng
|c YDX
|d EBLCP
|d JSTOR
|d OCLCO
|d OCLCF
|d OCLCO
|d OCLCQ
|
| 019 |
|
|
|a 1193122589
|
| 020 |
|
|
|a 3896447076
|q (electronic bk.)
|
| 020 |
|
|
|a 9783896447074
|q (electronic bk.)
|
| 029 |
1 |
|
|a AU@
|b 000069445948
|
| 035 |
|
|
|a (OCoLC)1192490090
|z (OCoLC)1193122589
|
| 037 |
|
|
|a 22573/ctv1q4s8xb
|b JSTOR
|
| 050 |
|
4 |
|a HG1616.I5
|
| 082 |
1 |
4 |
|a 332.1754
|2 23
|
| 049 |
|
|
|a UAMI
|
| 100 |
1 |
|
|a JAN MULLER.
|
| 245 |
1 |
0 |
|a Optimal economic capital allocation in banking on the basis of decision rights
|h [electronic resource].
|
| 260 |
|
|
|a [S.l.] :
|b DUNCKER & HUMBLOT,
|c 2015.
|
| 300 |
|
|
|a 1 online resource
|
| 490 |
1 |
|
|a Studienreihe der Stiftung Kreditwirtschaft an der Universität Hohenheim ;
|v v.52
|
| 505 |
0 |
|
|a Intro -- FOREWORD -- CONTENTS -- FIGURES -- TABLES -- ALGORITHMS -- 1 INTRODUCTION -- 1.1 Problem and research question -- 1.2 Organization of the research -- 2 CORPORATE MANAGEMENT BYECONOMIC CAPITALALLOCATION -- 2.1 Properties of economic capital -- 2.2 Required economic capital by downside riskmeasurement -- 2.3 Corporate management by bank-wide VARlimit systems -- 2.4 Economic capital allocation on the basis of riskadjusted performance measurement -- 2.4.1 Introduction to risk adjusted Performance measures -- 2.4.2 Controversial benchmarking on the basis of hurdle rates
|
| 505 |
8 |
|
|a 2.4.3 Implications of limit addressees in the form of decision makers -- 2.5 Economic capital allocation as a situation ofdelegation by decision rights -- 2.5.1 Implications for the risk management process -- 2.5.2 Costs of delegation by decision rights -- 3 IMPLICATIONS OF RELATEDFIELDS OF RESEARCH -- 3.1 Different situations of economic capitalallocation -- 3.2 Risk contribution -- a form of economic capitalallocation -- 3.2.1 Risk contribution schemes -- 3.2.2 Particular approaches from the field of risk contribution -- 3.3 Axiomatization of economic capital allocation
|
| 505 |
8 |
|
|a 3.3.1 Axiomatization of risk measures -- 3.3.2 Transfer of the axiomatization framework to economic capitalallocation -- 3.4 Risk assessment over time by dynamic riskmeasures -- 3.5 Economic capital allocation as a means ofcorporate management -- 3.6 Portfolio optimization under a downside riskconstraint -- 3.6.1 Approaches on the basis of traditional methods of optimization -- 3.6.2 Heuristic methods of optimization -- 3.6.2.1 Categorization of the field of heuristic optimization -- 3.6.2.2 Approaches on the basis of heuristic optimization methods
|
| 505 |
8 |
|
|a 4 BASIC MODEL OF OPTIMALECONOMIC CAPITALALLOCATION -- 4.1 Qualitative description of the model -- 4.2 Determination of the underlying stochasticprogram -- 4.3 Valuation of the objective function on the basisof a trading simulation -- 4.3.1 Simulation of the stocks' returns -- 4.3.2 Simulation of the business units' profits and losses -- 4.3.3 Simulation of the heterogeneous prospects of success of the businessunits -- 4.4 Out-of-sample backtesting and the role ofimportance sampling -- 5 HEURISTIC OPTIMIZATION OFRISK LIMIT SYSTEMS BYTHRESHOLD ACCEPTING
|
| 505 |
8 |
|
|a 5.1 Visual proof of non-convexity by an exemplarymodel case -- 5.2 Basic algorithm of threshold accepting -- 5.3 Determination of start solutions -- 5.4 Neighborhood function -- 5.4.1 Basic design of the neighborhood function -- 5.4.2 Generation of the transfer value -- 5.4.3 Monitoring of the constraints' satisfaction -- 5.5 Generation of the threshold sequence -- 5.6 Parallelization of threshold accepting -- 6 PARAMETERIZATION OFTHRESHOLD ACCEPTING -- 6.1 Concept of successive parameterization incontext with the present model -- 6.2 Effective combinations of thresholds andtransfer values
|
| 590 |
|
|
|a JSTOR
|b Books at JSTOR Demand Driven Acquisitions (DDA)
|
| 590 |
|
|
|a JSTOR
|b Books at JSTOR All Purchased
|
| 650 |
|
0 |
|a Bank investments.
|
| 650 |
|
0 |
|a Capital investments.
|
| 650 |
|
0 |
|a Resource allocation.
|
| 650 |
|
2 |
|a Capital Financing
|
| 650 |
|
6 |
|a Banques
|x Investissements.
|
| 650 |
|
6 |
|a Investissements de capitaux.
|
| 650 |
|
6 |
|a Affectation des ressources.
|
| 650 |
|
7 |
|a Bank investments.
|2 fast
|0 (OCoLC)fst00826688
|
| 650 |
|
7 |
|a Capital investments.
|2 fast
|0 (OCoLC)fst00846320
|
| 650 |
|
7 |
|a Resource allocation.
|2 fast
|0 (OCoLC)fst01095652
|
| 776 |
0 |
8 |
|i Print version:
|a Müller, Jan
|t Optimal Economic Capital Allocation in Banking on the Basis of Decision Rights.
|d Berlin : Duncker & Humblot,c2020
|z 9783896737076
|
| 830 |
|
0 |
|a Studienreihe der Stiftung Kreditwirtschaft an der Universität Hohenheim.
|
| 856 |
4 |
0 |
|u https://jstor.uam.elogim.com/stable/10.2307/j.ctv1q69jqn
|z Texto completo
|
| 938 |
|
|
|a YBP Library Services
|b YANK
|n 301487639
|
| 938 |
|
|
|a ProQuest Ebook Central
|b EBLB
|n EBL6331254
|
| 994 |
|
|
|a 92
|b IZTAP
|
